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Modelling the impact of overnight surprises on intra-daily volatility

Gallo, Giampiero M. - In: Australian economic papers 40 (2001) 4, pp. 567-580

Persistent link: https://www.econbiz.de/10001982984

[Rezension von: Cappuccio, N., ..., Econometria]

Gallo, Giampiero M. - In: Note economiche : rivista economica del Monte dei … 23 (1993) 1, pp. 217-220

Persistent link: https://www.econbiz.de/10001346270

Forecast error decomposition in a nonlinear model with provisional data

Gallo, Giampiero M. - In: Annales d'économie et de statistique (1991), pp. 103-128

Persistent link: https://www.econbiz.de/10001113028

On variable selection for volatility forecasting : the role of focused selection criteria

Brownlees, Christian; Gallo, Giampiero M. - In: Journal of financial econometrics : official journal of … 6 (2008) 4, pp. 513-539

Persistent link: https://www.econbiz.de/10003778985

Market interdependence and financial volatility transmission in East Asia

Gallo, Giampiero M.; Velucchi, Margherita - In: International journal of finance & economics : IJFE 14 (2009) 1, pp. 24-44

Persistent link: https://www.econbiz.de/10003807461

Volatility transmission across markets : a multichain Markov switching model

Gallo, Giampiero M.; Otranto, Edoardo - In: Applied financial economics 17 (2007) 7/9, pp. 659-670

Persistent link: https://www.econbiz.de/10003491212

Vector multiplicative error models : representation and inference

Cipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M. - 2006

The Multiplicative Error Model introduced by Engle (2002) for positive valued processes is specified as the product of a (conditionally autoregressive) scale factor and an innovation process with positive support. In this paper we propose a multi-variate extension of such a model, by taking into...